3 Inroducion (/) In he asse managemen indusry, he isk Adjused Performance (hereinafer AP) measures are he more well known insrumens used in order o give advice abou he qualiy of an invesmen (Cucurachi, 999). The more widespread measures assumes he hypohesis of normaliy of reurns and provide a judgmen of he qualiy of he invesmen as a raio beween a reurn and a risk index. Empirical analysis proposed in lieraure abou he real esae invesmen vehicle performance demonsrae ha he reurn disribuion is asymmeric (Huson and Sevenson, 008) and is significanly skewned (Lizieri e al. 007).

4 Inroducion (/) esearch quesions - Does he normaliy hypohesis fi for he Ialian real esae funds? - Is here any difference in he ranking consruced using AP measures ha assume he normaliy of reurns and hose ha do no consider his simplified assumpion? - Is here any relaionship beween leverage or volume and he ranking defined using differen AP measures?

7 Lieraure review (/) The non normaliy of resuls is explained on he basis of he liabiliy srucure ha could defined in order o ensure o he lender a fixed minimum reurn and a premium in some marke scenarios (Ward and French, 997). The performance dynamics of real esae vehicles could be also explained on he basis of he lack of liquidiy ha characerized he markes in which hey are raded (Li e al., 009). There are some evidence for more developed markes (like US) of an increasing number of ransacions and a lowering level of ransacion coss (Jirasakuldech and Knigh, 005) bu hese resuls could be no generalized o he overall world indusry.

10 Empirical analysis: mehodology (/3) Performance achieved is compued using he following formula: ln P P D Where P is he closing price a ime, D is he dividend evenually paid a ime and ln is he naural logarihm. Normaliy es Shapiro & Wilk We selec o es he usefulness of new AP measure correced for he non-normaliy looking only a hose ha are consruced saring from he f excess reurn respec o a risk free rae

12 Empirical analysis: mehodology (3/3) AP measures dynamics are sudied using he following approach AP i i LEVEAGE i EFFGES i i 3 i EFFGI i i VOLUME i 4 i HHGEO i i n i 5 i i i ConrolVariables LEVEAGE i 6 i HHSECT AGE i i 7 i i INCSG i i 8 i i MATSG VOLUME i i 9 i BPSF i i i i ln NAV i AP i LEVEAGE i VOLUME i ln NAV i EFFGES i EFFGI i HHGEO i HHSECT i where: = Value of he AP measure considered a he year for he fund I; = he raio beween overall deb a he end of he year for he fund i respec o he oal asse; = he mean volume of daily rades in he year for he fund i; = a conrol variable relaed o he size of he asse under managemen for he fund I a he end of he year i; = managemen efficiency compued as he raio beween fund overall expense and oal asse in he year for he fund i; = acive propery managemen measured as he raio beween propery expense and oal asse in he year for he fund i; = geographical concenraion of asses in he year for he fund i esimaed using he Herfindal for he propery locaion (he geographical classificaion considers 5 areas according o he Assogesioni daa; = secor concenraion of asses in he year for he fund i esimaed using he Herfindal for he propery ype (he secor classificaion considers 8 ypes of asses according o he Assogesioni daa; = years from he saring dae of he fund i a he ime ; = raio beween he managemen fees and he oal asses in he year for he fund i; = dummy variable ha assume he value if he fund i is managed by a SG ha aain o a financial group and 0 oherwise; AGE i INCSG i MATSG i BPSF i = dummy variable ha assume he value if he fund is a blind pool and 0 oherwise. Conrol variables Lee and Morri 009 andom vs fixed effec Hausman specificaion es

18 Conclusions The choice of risk measures more complee respec o he sandard deviaion affecs no only he yearly ranking posiion of each fund bu also he variabiliy of rankings over ime. Measures consruced on disribuion of losses, on he maximum drawdown and looking also a he asymmery of reurns allow o achieve he highes level of raking persisence over ime. Using some conrolling variables for he characerisics of he real esae invesmen fund, he leverage has a significan impac on he ranking posiion defined using differen AP measures while volume seems o be no relevan

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